Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0481
Annualized Std Dev 0.2452
Annualized Sharpe (Rf=0%) -0.1963

Row

Daily Return Statistics

Close
Observations 3294.0000
NAs 1.0000
Minimum -0.1218
Quartile 1 -0.0062
Median 0.0003
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0066
Maximum 0.1006
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0154
Skewness -0.7002
Kurtosis 9.1761

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0106
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6926
Historical VaR (95%) -0.0231
Historical ES (95%) -0.0390
Modified VaR (95%) -0.0256
Modified ES (95%) -0.0558
From Trough To Depth Length To Trough Recovery
2008-02-28 2009-03-09 NA -0.6926 3289 259 NA
2008-02-20 2008-02-20 2008-02-25 -0.0079 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.5 2.5 -0.3 0.4 -1.6 -0.8 0.2 0.2 2.6 -3.9 1.5 -2.1
2009 -2.3 -0.6 2.1 2 4.7 1.3 1.3 -2.5 -3 -3.5 1.9 -0.3 0.6
2010 1.7 0.7 1.5 -0.2 -1.7 2.1 -0.1 3.1 0.9 -0.3 3 0.9 12
2011 1.8 -1.6 1.2 0.2 -2.3 1 -0.9 -1.1 -3.4 -3.8 -0.9 0.1 -9.4
2012 1.8 1 1 0.4 -1.8 4.7 0.2 1.1 0.6 0.6 0 1.8 11.8
2013 1.1 0 -0.5 -0.9 -2.6 0.1 0.5 -0.2 0.7 -0.6 -0.1 0.4 -1.9
2014 -1 0.3 0.6 -0.3 -0.2 0.3 -0.4 0 -1.2 0.7 -1.1 -0.6 -3
2015 -0.8 0.3 0.9 0.5 -0.5 -0.3 -0.2 -3.3 0.2 0.4 1.4 -0.8 -2.2
2016 -0.4 2.6 -1.2 0.1 -0.3 0.4 -0.9 1.1 0.8 -0.4 0.2 -0.2 1.8
2017 0 0.6 -0.1 0.5 0.7 -0.3 0.4 0.2 0.5 -0.3 0.2 -0.1 2.5
2018 0 -0.8 0.9 -0.2 0.4 0.6 -0.5 -0.6 -0.1 1.4 -0.3 0.2 0.9
2019 -0.3 -0.1 0.8 -0.4 -0.1 0 -0.1 0.3 -0.5 0.6 -0.4 0.2 0
2020 -1.1 -1.8 -4.3 -2.6 2 0.5 -1.3 -0.2 0.7 -0.4 1.4 -0.8 -7.8
2021 0.8 1.3 0.6 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart